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1. Exploring Optimisation Strategies Under Jump-Diffusion Dynamics. (2025). Fraccarolo, Nicola ; di Persio, Luca.
   In: Mathematics.
   RePEc:gam:jmathe:v:13:y:2025:i:3:p:535-:d:1584785.

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2. Exact solution for the portfolio diversification problem based on maximizing the risk adjusted return. (2022). Hatemi-J, Abdulnasser ; El-Khatib, Youssef ; Hajji, Mohamed Ali.
   In: Research in International Business and Finance.
   RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001690.

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3. Portfolio Diversification Benefits between Financial Markets of the US and China: Empirical Evidence from two Alternative Methods. (2021). Hatemi-J, Abdulnasser ; Taha, Viyan.
   In: Economia Internazionale / International Economics.
   RePEc:ris:ecoint:0910.

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4. Optimal Risk Sharing in Society. (2021). Aase, Knut.
   In: Discussion Papers.
   RePEc:hhs:nhhfms:2021_010.

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5. Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market. (2021). Jin, Zhuo ; Li, Shuanming ; Liu, Guo.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:101:y:2021:i:pb:p:508-524.

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6. Household Lifetime Strategies under a Self-Contagious Market. (2021). Jin, Zhuo ; Li, Shuanming ; Liu, Guo.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:288:y:2021:i:3:p:935-952.

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7. Hedging of Financial Derivative Contracts via Monte Carlo Tree Search. (2021). Szehr, Oleg.
   In: Papers.
   RePEc:arx:papers:2102.06274.

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8. Robust consumption and portfolio policies when asset prices can jump. (2019). Ait-Sahalia, Yacine ; Matthys, Felix.
   In: Journal of Economic Theory.
   RePEc:eee:jetheo:v:179:y:2019:i:c:p:1-56.

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9. Exact Solution for the Portfolio Diversification Problem Based on Maximizing the Risk Adjusted Return. (2019). Hatemi-J, Abdulnasser ; El-Khatib, Youssef ; Hajji, Mohamed Ali.
   In: Papers.
   RePEc:arx:papers:1903.01082.

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10. Option Pricing in a Regime Switching Jump Diffusion Model. (2019). Manjarekar, Omkar ; Goswami, Anindya.
    In: Papers.
    RePEc:arx:papers:1811.11379.

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11. An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles. (2018). Jarrow, Robert.
    In: Quarterly Journal of Finance (QJF).
    RePEc:wsi:qjfxxx:v:08:y:2018:i:02:n:s2010139218500052.

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12. Optimal Portfolio in Intraday Electricity Markets Modelled by L\evy-Ornstein-Uhlenbeck Processes. (2018). Vargiolu, Tiziano ; Piccirilli, Marco.
    In: Papers.
    RePEc:arx:papers:1807.01979.

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13. Portfolio selection: An alternative approach. (2015). Hatemi-J, Abdulnasser ; El-Khatib, Youssef.
    In: Economics Letters.
    RePEc:eee:ecolet:v:135:y:2015:i:c:p:141-143.

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14. Viscosity Solutions of Integro-Differential Equations and Passport Options in a Jump-Diffusion Model. (2014). Wang, Yang ; Zhang, Jizhou ; Bian, Baojun.
    In: Journal of Optimization Theory and Applications.
    RePEc:spr:joptap:v:161:y:2014:i:1:d:10.1007_s10957-013-0382-9.

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15. Portfolio Selection: A Review. (2014). Detemple, Jerome.
    In: Journal of Optimization Theory and Applications.
    RePEc:spr:joptap:v:161:y:2014:i:1:d:10.1007_s10957-012-0208-1.

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16. Mean–Variance portfolio selection in presence of infrequently traded stocks. (2014). Cerqueti, Roy ; Castellano, Rosella.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:234:y:2014:i:2:p:442-449.

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17. Partial information about contagion risk, self-exciting processes and portfolio optimization. (2014). Meinerding, Christoph ; Branger, Nicole ; Kraft, Holger.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:39:y:2014:i:c:p:18-36.

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18. Partial information about contagion risk, self-exciting processes and portfolio optimization. (2013). Meinerding, Christoph ; Kraft, Holger ; Branger, Nicole.
    In: SAFE Working Paper Series.
    RePEc:zbw:safewp:28.

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19. Portfolio Choice in Markets with Contagion. (2012). Ait-Sahalia, Yacine ; Hurd, T. R..
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20. A Modern View on Mertons Jump-Diffusion Model. (2011). Cheang, Gerald ; Chiarella, Carl.
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    RePEc:uts:rpaper:287.

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21. Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets. (2011). Prokopczuk, Marcel.
    In: Decisions in Economics and Finance.
    RePEc:spr:decfin:v:34:y:2011:i:2:p:141-168.

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22. Hedge Portfolios in Markets with Price Discontinuities. (2008). GERALD H. L. CHEANG, .
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23. Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios. (2008). Barbarin, Jerome.
    In: Insurance: Mathematics and Economics.
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24. Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility. (2007). Sennewald, Ken .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:4:p:1106-1131.

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25. Pricing Rare Event Risk in Emerging Markets. (2006). Gallmeyer, Michael ; Dieckmann, Stephan.
    In: 2006 Meeting Papers.
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26. Asian options with jumps. (2006). Lin, Hsien-Jen ; Chou, Ching-Sung .
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:76:y:2006:i:18:p:1983-1993.

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27. “Itô’s Lemma“ and the Bellman Equation for Poisson Processes: An Applied View. (2006). Wälde, Klaus ; Walde, Klaus ; Sennewald, Ken .
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1684.

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28. Itos Lemma and the Bellman equation for Poisson processes: An applied view. (2005). Wälde, Klaus ; Walde, Klaus ; Sennewald, Ken .
    In: W.E.P. - Würzburg Economic Papers.
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29. Itôs Lemma and the Bellman equation: An applied view. (2005). Wälde, Klaus ; Walde, Klaus ; Sennewald, Ken .
    In: Dresden Discussion Paper Series in Economics.
    RePEc:zbw:tuddps:0405.

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30. Controlled Stochastic Differential Equations under Poisson Uncertainty and with Unbounded Utility. (2005). Sennewald, Ken .
    In: Dresden Discussion Paper Series in Economics.
    RePEc:zbw:tuddps:0305.

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31. The equilibrium allocation of diffusive and jump risks with heterogeneous agents. (2005). Gallmeyer, Michael ; Dieckmann, Stephan.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:29:y:2005:i:9:p:1547-1576.

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32. A General Benchmark Model for Stochastic Jump Sizes. (2004). Platen, Eckhard ; Christensen, Morten.
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33. Optimal Portfolio and Consumption in a Switching Diffusion Market. (2004). Cajueiro, Daniel ; Yoneyama, Takashi.
    In: Brazilian Review of Econometrics.
    RePEc:sbe:breart:v:24:y:2004:i:2:a:2711.

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34. The European options hedge perfectly in a Poisson-Gaussian stock market model. (2002). Mancini, C..
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    RePEc:taf:apmtfi:v:9:y:2002:i:2:p:87-102.

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35. Systemic Risk and International Portfolio Choice. (2002). Uppal, Raman ; Das, Sanjiv.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3305.

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36. OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST. (2001). Mikhailov, Sergei ; Fedotov, Sergei.
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37. Option Pricing with a General Marked Point Process. (2001). Prigent, Jean-Luc.
    In: Mathematics of Operations Research.
    RePEc:inm:ormoor:v:26:y:2001:i:1:p:50-66.

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38. Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs. (2001). Framstad, Nils ; Framstad, Nils Chr., ; Oksendal, Bernt ; Sulem, Agnes.
    In: Journal of Mathematical Economics.
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39. Dynamic Asset Allocation with Event Risk. (2001). pan, jun ; LIU, JUN ; Longstaff, Francis.
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt9fm6t5nb.

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40. Utility Maximization and Duality. (2000). Leitner, Johannes.
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41. Optimal portfolios for logarithmic utility. (2000). Goll, Thomas ; Kallsen, Jan.
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42. Stability for multidimensional jump-diffusion processes. (1999). Wee, In-Suk .
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43. Option Pricing Model for Incomplete Market. (1998). Mikhailov, Sergei ; Fedotov, Sergei.
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44. On martingale measures when asset returns have unpredictable jumps. (1996). Chao, Xiuli ; Bardhan, Indrajit .
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45. On optimal control of income generating activities, and the value of flexible production design. (1996). Stensland, Gunnar ; Olsen, Trond.
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46. Stochastic multi-agent equilibria in economies with jump-diffusion uncertainty. (1996). Chao, Xiuli ; Bardhan, Indrajit .
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47. A counting process approach to stochastic interest. (1995). Moller, Christian Max.
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48. COMPOUND DISTRIBUTION MODELS OF STOCK RETURNS: AN EMPIRICAL COMPARISON. (1987). Akgiray, Vedat ; Booth, Geoffrey G..
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49. The Exchange Rate Under Target Zones. (). Vajanne, Laura.
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